Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0090
Annualized Std Dev 0.1660
Annualized Sharpe (Rf=0%) -0.0543

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1574
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.1238
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0105
Skewness -1.6086
Kurtosis 28.8726

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0072
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.5845
Historical VaR (95%) -0.0143
Historical ES (95%) -0.0259
Modified VaR (95%) -0.0154
Modified ES (95%) -0.0207
From Trough To Depth Length To Trough Recovery
2012-09-17 2020-03-18 NA -0.5845 2141 1887 NA
2005-01-26 2008-11-21 2012-06-29 -0.5148 1872 965 907
1999-02-24 2000-01-11 2004-03-11 -0.2571 1268 224 1044
2004-03-17 2004-05-11 2004-10-11 -0.1543 144 39 105
2004-10-26 2004-11-16 2004-12-17 -0.0512 38 16 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.6 0 -2.1 0 -0.3 0 0 0.4 -0.4 1.1 -0.4 -0.7 -3.1
2000 0.8 -1.1 1.1 0.4 0.7 0.7 0.4 0 0.3 0.3 0 2 5.8
2001 -0.4 0 0.2 0.9 0.1 0.5 0.1 -0.2 1.4 0 0.1 1.4 4.3
2002 -0.2 0.2 0 0.8 0 0.6 1.3 0.3 -0.4 -1.1 -0.7 -0.2 0.6
2003 0.6 0 0.6 0.4 0 0.2 -0.6 0.7 0.4 0.1 0.3 -0.1 2.6
2004 -0.8 0.6 -0.7 2.1 0.8 -0.5 0.8 0.4 -0.7 0 1.2 0.4 3.3
2005 0.6 0.1 1.1 -0.2 -0.5 0.2 -0.5 1 -0.2 0.6 -0.4 0 1.9
2006 0.3 0.5 -0.1 0.1 0 0.6 0.7 -0.3 -0.5 -0.1 0.4 -0.6 1
2007 0.6 0.3 -0.1 0.6 -0.1 -0.7 0.3 -0.2 -0.1 -2 0.2 0.6 -0.4
2008 0.6 -0.1 0.6 0.5 -0.6 2.6 3.1 0.7 4.1 -0.1 -0.2 1.9 13.8
2009 -2 1.1 -0.1 0 2.6 1.7 -1.9 0.3 0.7 -2.1 0 -0.1 0.1
2010 -0.2 -1.6 -0.7 0.5 -0.6 0.3 -0.1 0.6 -0.9 0.8 0.3 1.5 -0.2
2011 0.9 0.2 0.1 0 -0.1 0.4 2.1 -1 1.1 -1.1 0.3 0 3
2012 0.1 0.6 1.3 0.8 -0.1 1.9 1.3 -0.2 0.2 1.1 1.4 3.8 13.1
2013 0.3 -1.3 0.3 0.1 -3.2 2.1 -2.1 0.1 1.4 0.2 0.5 0.3 -1.5
2014 0.1 0.2 0.6 0.1 -0.1 -0.4 -0.5 0.8 0.7 0.3 -0.3 0.3 1.8
2015 -0.4 0.2 1.1 -0.5 0 0.9 0.3 -0.5 -0.8 0 -0.2 -0.3 -0.1
2016 0 1.2 1 0.1 -0.3 2.6 -0.4 -0.2 1 -0.4 -1.4 0.4 3.6
2017 0.4 0.7 0.7 0.3 0 -1.8 -0.6 0.1 -0.3 -0.1 0.7 -0.2 -0.1
2018 -0.5 0.1 0.2 -0.1 0.1 -0.4 -0.4 0.7 0.2 0.7 0.2 -0.3 0.4
2019 -0.7 -0.3 0.8 0.9 -0.2 0.5 0.9 -0.2 0.5 -0.2 0 0.3 2.4
2020 0.1 -5.3 -3.5 -1.4 0.5 1.6 -0.3 1.9 2.3 -0.6 -0.3 -0.6 -5.7
2021 0.1 0.7 0 NA NA NA NA NA NA NA NA NA 0.8

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart